To be honest, I'm not that big a fan of Kristen Wiig on SNL. I mean, she's obviously super-talented, but I feel like they found her and then burned her out as soon as possible. I mean, she's retired more characters than some people have ever had on SNL.
I was, however, a big fan of Kristen Wiig in 2003, when she was a cast member of one of the best improvised TV shows ever. The show was called "The Joe Schmo Show" and the premise was this: the producers found a regular person (the "Schmo") and cast him on a reality show called the "Lap of Luxury". He had to live in a mansion with 8 other contestants. In reality the 8 other people are actors/improvisers based on the archetypes that appear on reality shows. The producers gave them their storylines and motivations and the dialogue was completely improvised... of course, what the "Schmo" did and said drastically affected the show.